PENGARUH ASSET GROWTH, DEBT TO EQUITY RATIO, RETURN ON EQUITY, TOTAL ASSET TURNOVER DAN EARNING PER SHARE TERHADAP BETA SAHAM PADA PERUSAHAAN YANG MASUK DALAM KELOMPOK JAKARTA ISLAMIC INDEX (JII) PERIODE 2013-2015

. This study examines and analyzes the effects of asset growth, debt to equity ratio, return on equity, total asset turnover and earnings per share against the stock beta. The stocks studied consisted of stocks consisting of the Jakarta Islamic Index (JII) during 2013 to 2015. The variables used are the fundamental variables consisting of asset growth (AG), debt to equity ratio (DER), return on Equity (ROE), total asset turnover (TATO), and earnings per share (EPS). The data of this research are secondary data from Indonesian Capital Market Directory (ICMD) and Capital Market Data Center at Faculty of Economics of Islamic University of Indonesia and annual financial report of company that entered in JII group during 2013-2015 and processed with multiple linear regression model using SPSS program .The result of this research concludes that the variable having significant effect on stock beta is asset growth with sig. T of 0.007 0.05, ROE with sig. T of 0.050> 0.05, TATO with sig.t of 0.759> 0.05, EPS with sig. T of 0.424. While sig. F of 0.040 0.05, ROE  dengan sig. t sebesar 0.050>0.05,  TATO dengan sig.t sebesar 0.759>0.05, EPS dengan sig. t sebesar 0.424. Sedangkan sig. F sebesar  0.040<0.05, sehingga dapat disimpulkan bahwa kelima variabel secara simultan  berpengaruh positif dan signifikan terhadap beta saham. Kelima variabel tersebut berpengaruh terhadap beta saham sebesar 20% dan sisanya sebesar 80% dijelaskan oleh variabel lain di luar model dan faktor fundamental lainnya. Katakunci: Reksadana Saham Syaria; Kinerja; Sharpe Ratio